| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007 François du Vignaud |
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| 5 | Copyright (C) 2007 Giorgio Facchinetti |
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| 6 | Copyright (C) 2013 Peter Caspers |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | /*! \file projection.hpp |
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| 23 | \brief Parameter projection |
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| 24 | */ |
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| 25 | |
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| 26 | #ifndef quantlib_math_projection_h |
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| 27 | #define quantlib_math_projection_h |
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| 28 | |
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| 29 | #include <ql/math/array.hpp> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | class Projection { |
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| 34 | public: |
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| 35 | Projection(const Array& parameterValues, |
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| 36 | std::vector<bool> fixParameters = std::vector<bool>()); |
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| 37 | |
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| 38 | //! returns the subset of free parameters corresponding |
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| 39 | // to set of parameters |
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| 40 | virtual Array project(const Array ¶meters) const; |
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| 41 | |
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| 42 | //! returns whole set of parameters corresponding to the set |
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| 43 | // of projected parameters |
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| 44 | virtual Array include(const Array &projectedParameters) const; |
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| 45 | virtual ~Projection() = default; |
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| 46 | |
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| 47 | protected: |
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| 48 | void mapFreeParameters(const Array ¶meterValues) const; |
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| 49 | Size numberOfFreeParameters_ = 0; |
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| 50 | const Array fixedParameters_; |
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| 51 | mutable Array actualParameters_; |
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| 52 | std::vector<bool> fixParameters_; |
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| 53 | }; |
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| 54 | |
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| 55 | } |
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| 56 | |
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| 57 | #endif |
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| 58 | |
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